双渠道风险传染下银行系统稳定性分析

随着金融危机的频率和范围的不断扩大,银行系统性风险的研究越来越受到重视。针对银行业系统性风险,构建银行同业拆借（直接传染渠道）、银行共同持有资产（间接传染渠道）的双渠道风险传染网络模型。该模型引入了宏观经济波动带来的投资风险,并允许银行通过贬值出售资产来弥补流动性,这更真实地反映了银行系统的操作规则。研究结果表明,在各种经济因素波动情况下,平均储蓄量、储蓄的波动幅度、投资的收益率、存款准备金率以及储蓄利率等对银行系统稳定性的有较大影响,并进行了定量分析。该研究为定量研究宏观经济波动下银行系统性风险问题提供了方案,并为决策者和监管部门防范银行系统性风险提供了参考。     

Entry and Exit in OTC Derivatives Markets

We develop a parsimonious model to study the equilibrium and socially optimal decisions of banks to enter, trade in, and possibly exit, an OTC market. Although we endow all banks with the same trading technology, banks' optimal entry and trading decisions endogenously lead to a realistic market structure composed of dealers and customers with distinct trading patterns. We decompose banks' entry incentives into incentives to hedge risk and incentives to make intermediation profits. We show that dealer banks enter more than is socially optimal. In the face of large negative shocks, they may also exit more than is socially optimal when markets are not perfectly resilient.     

Financial Globalization and the Governance of Domestic Financial Intermediaries

We model a small open economy in which both domestic financial intermediaries and entrepreneurs face incentive constraints, as in Holmstrom and Tirole (1997) , to study the general equilibrium impact of various types of capital inflows on the efficiency and governance of domestic banks. Banks have an advantage in monitoring firms, but the latter can collude with banks and offer side‐payments to reduce the intensity of monitoring. Opening up to international capital flows makes domestic banks’ capital scarcer relative to uninformed capital, thus increasing the relative cost of monitoring. We show that capital account liberalization has ambiguous effects on the governance of the domestic financial system by sometimes increasing firms’ incentives to collude with banks. We characterize the conditions under which governance is more likely to deteriorate after opening up the capital account, and discuss the effects on investment, productivity and output. We also analyze the effects of foreign direct investment in the corporate and banking sectors. Stylized facts are consistent with the predictions of the model.     

企业家社交关系对关联信用风险传染影响的研究——基于双层网络视角

关联信用风险是指某些企业违约,导致与其存在关联关系的企业违约或违约可能性增大的这类信用风险。企业家的社交关系会影响企业之间关联信用风险的传染效应。本文利用双层网络刻画企业家和企业所形成的耦合网络,分析企业家的社交关系对关联信用风险传染的影响路径,构建双层网络中关联信用风险的传染模型,并考察企业家社交网络和双层网络的结构等因素对关联信用风险传染效应的影响。研究结果表明：企业家的社交关系是影响关联信用风险传染的重要因素;企业家社交-企业关联双层网络的拓扑结构也会影响关联信用风险的传染效应;提高双层网络的相似度,可以抑制关联信用风险在关联企业网络中的传染。本文的研究进一步拓展了信用风险的研究视角,为银行等金融机构对信用风险的提供科学的决策依据。     

Inferring Labor Income Risk and Partial Insurance From Economic Choices

This paper uses the information contained in the joint dynamics of individuals' labor earnings and consumption‐choice decisions to quantify both the amount of income risk that individuals face and the extent to which they have access to informal insurance against this risk. We accomplish this task by using indirect inference to estimate a structural consumption–savings model, in which individuals both learn about the nature of their income process and partly insure shocks via informal mechanisms. In this framework, we estimate (i) the degree of partial insurance, (ii) the extent of systematic differences in income growth rates, (iii) the precision with which individuals know their own income growth rates when they begin their working lives, (iv) the persistence of typical labor income shocks, (v) the tightness of borrowing constraints, and (vi) the amount of measurement error in the data. In implementing indirect inference, we find that an auxiliary model that approximates the true structural equations of the model (which are not estimable) works very well, with negligible small sample bias. The main substantive findings are that income shocks are moderately persistent, systematic differences in income growth rates are large, individuals have substantial amounts of information about their income growth rates, and about one‐half of income shocks are smoothed via partial insurance. Putting these findings together, the amount of uninsurable lifetime income risk that individuals perceive is substantially smaller than what is typically assumed in calibrated macroeconomic models with incomplete markets.     

Money and Credit Redux

We analyze money and credit as competing payment instruments in decentralized exchange. In natural environments, we show the economy does not need both: if credit is easy, money is irrelevant; if credit is tight, money is essential, but credit becomes irrelevant. Changes in credit conditions are neutral because real balances respond endogenously to keep total liquidity constant. This is true for both exogenous and endogenous debt limits and policy limits, secured and unsecured lending, and general pricing mechanisms. While we show how to overturn some of these results, the benchmark model suggests credit might matter less than people think.     

Trade Credit and the Propagation of Corporate Failure: An Empirical Analysis

Using an exhaustive data set on claims held by trade creditors (suppliers) on failed trade debtors (customers), we quantify the importance of trade credit chains for the propagation of corporate bankruptcy. We show that trade creditors experience significant trade credit losses due to trade debtor failures and that creditors' bankruptcy risks increase in the size of incurred losses. By exploring the roles of financial constraints and creditor‐debtor dependences, we infer that the trade credit failure propagation mechanism is driven by both credit losses and demand shrinkage. Finally, we show that the documented propagation mechanism constitutes a significant part of the overall bankruptcy frequency, suggesting that it has measurable implications for the aggregate level.     

The Dynamics of Inequality

The past forty years have seen a rapid rise in top income inequality in the United States. While there is a large number of existing theories of the Pareto tail of the long‐run income distributions, almost none of these address the fast rise in top inequality observed in the data. We show that standard theories, which build on a random growth mechanism, generate transition dynamics that are too slow relative to those observed in the data. We then suggest two parsimonious deviations from the canonical model that can explain such changes: “scale dependence” that may arise from changes in skill prices, and “type dependence,” that is, the presence of some “high‐growth types.” These deviations are consistent with theories in which the increase in top income inequality is driven by the rise of “superstar” entrepreneurs or managers.     

Forecasting Product Returns for Remanufacturing Operations

Driven by legislative pressures, an increasing number of manufacturing companies have been implementing comprehensive recycling and remanufacturing programs. The accurate forecasting of product returns is important for procurement decisions, production planning, and inventory and disposal management in such remanufacturing operations. In this study, we consider a manufacturer that also acts as a remanufacturer, and develop a generalized forecasting approach to determine the distribution of the returns of used products, as well as integrate it with an inventory model to enable production planning and control. We compare our forecasting approach to previous models and show that our approach is more consistent with continuous time, provides accurate estimates when the return lags are exponential in nature, and results in fewer units being held in inventory on average. The analysis revealed that these gains in accuracy resulted in the most cost savings when demand volumes for remanufactured products were high compared to the volume of returned products. Such situations require the frequent acquisition of cores to meet demand. The results show that significant cost savings can be achieved by using the proposed approach for sourcing product returns.     

Moral Hazard in High Office and the Dynamics of Aristocracy

Both aristocratic privileges and constitutional constraints in traditional monarchies can be derived from a ruler's incentive to minimize expected costs of moral‐hazard rents for high officials. We consider a dynamic moral‐hazard model of governors serving a sovereign prince, who must deter them from rebellion and hidden corruption which could cause costly crises. To minimize costs, a governor's rewards for good performance should be deferred up to the maximal credit that the prince can be trusted to pay. In the long run, we find that high officials can become an entrenched aristocracy with low turnover and large claims on the ruler. Dismissals for bad performance should be randomized to avoid inciting rebellions, but the prince can profit from reselling vacant offices, and so his decisions to dismiss high officials require institutionalized monitoring. A soft budget constraint that forgives losses for low‐credit governors can become efficient when costs of corruption are low.     

基于资本监管要求和还款意愿的贷款定价研究

在借款人有道德风险的情况下,如何合理地确定贷款价格是一个理论界及实务界面临的共同难题。本文分析了企业的还款意愿对商业银行贷款定价的影响,并将还款意愿融入到信用风险定价的结构化模型中,建立了资本监管下商业银行贷款定价模型。研究表明,贷款占用银行的监管资本越多或银行吸收存款的利率越高,贷款价格也越高;企业的还款意愿越弱,则银行给企业的贷款价格越高;反之,企业的还款意愿越强,则银行给企业的贷款价格越低。     

Robust Contracts in Continuous Time

We study a continuous‐time contracting problem under hidden action, where the principal has ambiguous beliefs about the project cash flows. The principal designs a robust contract that maximizes his utility under the worst‐case scenario subject to the agent's incentive and participation constraints. Robustness generates endogenous belief heterogeneity and induces a tradeoff between incentives and ambiguity sharing so that the incentive constraint does not always bind. We implement the optimal contract by cash reserves, debt, and equity. In addition to receiving ordinary dividends when cash reserves reach a threshold, outside equity holders also receive special dividends or inject cash in the cash reserves to hedge against model uncertainty and smooth dividends. The equity premium and the credit yield spread generated by ambiguity aversion are state dependent and high for distressed firms with low cash reserves.     

基于信号博弈的中外资银行信贷竞争行为分析

在银行业全面开放及贷款利率市场化条件下,异,对中外资银行信贷舍约竞争行为的影响。结果表明：本文利用信号博弈模型,讨论了信息差异及经营成本差1）中资银行的竞争优势是老借款人。2）外资银行提供分离合约时,在中资银行的新借款人市场上将出现“柠檬效应”;外资银行提供混同合约时,中资银行将失去所有新借款人。     

Why Doesn't Technology Flow From Rich to Poor Countries?

What is the role of a country's financial system in determining technology adoption? To examine this, a dynamic contract model is embedded into a general equilibrium setting with competitive intermediation. The terms of finance are dictated by an intermediary's ability to monitor and control a firm's cash flow, in conjunction with the structure of the technology that the firm adopts. It is not always profitable to finance promising technologies. A quantitative illustration is presented where financial frictions induce entrepreneurs in India and Mexico to adopt less‐promising ventures than in the United States, despite lower input prices.     

Trade Dynamics in the Market for Federal Funds

We develop a model of the market for federal funds that explicitly accounts for its two distinctive features: banks have to search for a suitable counterparty, and once they meet, both parties negotiate the size of the loan and the repayment. The theory is used to answer a number of positive and normative questions: What are the determinants of the fed funds rate? How does the market reallocate funds? Is the market able to achieve an efficient reallocation of funds? We also use the model for theoretical and quantitative analyses of policy issues facing modern central banks.     

存款保险制度对银行利率风险影响的实证研究

利用东盟六国与中国在经济、贸易和货币等方面较强的同步性和联动性特征, 选取2000年至2015年东盟六国主要商业银行的数据作为样本, 使用银行净息差3年移动标准差作为利率风险的代理变量, 实证检验建立存款保险制度对银行利率风险水平的影响, 以及这种影响是否因银行规模、银行业集中度和国家法制水平的差异而产生变化.研究表明, 存款保险制度的建立能够显著减少银行净息差的波动, 对利率风险具有稳定作用, 且这种稳定作用受到银行规模、银行业集中度和国家法制水平的影响.无论在短期或长期, 存款保险制度对银行利率风险的稳定作用都十分显著, 银行业集中度降低使得存款保险制度对银行利率风险的稳定作用增强.虽然提升国家法制水平在短期减弱存款保险制度对银行利率风险的稳定作用, 但在长期则相反.此外, 相比样本中高收入国家的商业银行, 存款保险制度对于中高收入和中低收入国家的银行利率风险稳定作用更为显著.     

基于银行-资产双边网络模型的系统性风险及投资策略研究

受近几年的国际金融危机及金融全球化的影响,对金融系统的系统性风险的研究已成为国内外学者的关注热点。考虑到当前基于"银行-资产-银行"间接传播渠道的相关研究相对匮乏,本文基于银行-资产双边网络模型来分析银行系统性风险。首先,使用中国47家上市银行2018年的资产负债表数据构建了中国银行系统的双边网络模型,研究分析各类资产遭受冲击时外部冲击、降价出售效应及银行所持有的各类资产占银行总资产的比例对银行系统性风险的影响。然后,引入系统性冲击方式,通过设置具有不同属性的两大类资产并生成四种冲击事件来构建银行的投资策略模型,从资产视角探讨银行最优的投资策略。研究发现,外部冲击与降价出售效应这两个产生系统性风险的影响因素在一定区间值时会产生叠加效应,使银行系统性风险急剧增加;五种资产类中,贷款类资产对外部冲击最敏感;分析发现在各类资产冲击下都未倒闭的所有银行的资产组合具有一定的相似性;进一步研究发现银行系统中存在着最优的资产组合,使得银行在稳定的同时能获取最大收益,并且资产负债比越大的银行其风险承受能力越强,从而可以选择更激进的投资策略来追求高收益。     

Consumption Commitments and Habit Formation

We analyze the implications of household‐level adjustment costs for the dynamics of aggregate consumption. We show that an economy in which agents have “consumption commitments” is approximately equivalent to a habit formation model in which the habit stock is a weighted average of past consumption if idiosyncratic risk is large relative to aggregate risk. Consumption commitments can thus explain the empirical regularity that consumption is excessively sensitive and excessively smooth, findings that are typically attributed to habit formation. Unlike habit formation and other theories, but consistent with empirical evidence, the consumption commitments model also predicts that excess sensitivity and smoothness vanish for large shocks. These results suggest that behavior previously attributed to habit formation may be better explained by adjustment costs. We develop additional testable predictions to further distinguish the commitment and habit models and show that the two models have different welfare implications.     

Market‐Triggered Changes in Capital Structure: Equilibrium Price Dynamics

We analyze the internal consistency of using the market price of a firm's equity to trigger a contractual change in the firm's capital structure, given that the value of the equity itself depends on the firm's capital structure. Of particular interest is the case of contingent capital for banks, in the form of debt that converts to equity, when conversion is triggered by a decline in the bank's stock price. We analyze the problem of existence and uniqueness of equilibrium values for a firm's liabilities in this context, meaning values consistent with a market‐price trigger. Discrete‐time dynamics allow multiple equilibria. In contrast, we show that the possibility of multiple equilibria can largely be ruled out in continuous time, where the price of the triggering security adjusts in anticipation of breaching the trigger. Our main condition for existence of an equilibrium requires that the consequences of triggering a conversion be consistent with the direction in which the trigger is crossed. For the design of contingent capital with a stock price trigger, this condition may be interpreted to mean that conversion should be disadvantageous to shareholders, and it is satisfied by setting the trigger sufficiently high. Uniqueness follows provided the trigger is sufficiently accessible by all candidate equilibria. We illustrate precise formulations of these conditions with a variety of applications.     

政府隐性保险政策与银行业风险承担行为——对“国家信用悖论”的理论解释

本文在一个两期经济的框架内,研究了国家隐性保险对银行业风险承担行为的影响,给出了隐性保险对不同银行风险选择的激励条件和边界,并对基于政府隐性保险的"国家信用悖论"给予了理论解释.政府隐性保险并不必然鼓励所有银行的风险承担行为,它只是可能地鼓励了问题银行的风险承担激励.政府隐性保险对问题银行的风险承担激励取决于银行自身的资本充足状况和实体经济的微观基础.当实体经济缺乏竞争性的微观基础时,政府隐性保险越有可能鼓励了问题银行的整体性风险承担行为.